Goldman Sachs Finance Issues Three-Year Autocallable Notes Linked to Technology and Broad Market Indices

Structured Product Design and Contingent Coupon Mechanics

The notes issued by GS Finance Corp. represent a structured product with embedded contingencies tied to three market indices and equity exchange-traded funds. The product calculates its monthly coupon based on the closing levels of each underlier on specified coupon observation dates. If the closing level of every single underlier meets or exceeds 70% of its initial underlier level on a coupon observation date, investors receive a monthly payment of $8.959 per $1,000 face amount, which translates to an annualized yield of approximately 10.75%. However, if the closing level of any one underlier falls below this 70% coupon trigger level, investors receive zero coupon payment for that month.

The disclosure states that investors could lose their entire investment in the notes. At maturity, if the notes have not been automatically called, the cash settlement amount depends on whether the final underlier levels exceed a trigger buffer level of 60% of initial underlier values. If all three underliers close above this 60% threshold on the determination date, investors receive $1,000 per $1,000 face amount plus any accrued final coupon. If any underlier falls below the 60% trigger buffer level, investors receive $1,000 plus the product of $1,000 multiplied by the return of the worst-performing underlier, which could result in a significant loss of principal.

Automatic Call Feature and Early Redemption Scenarios

The notes incorporate an automatic call feature designed to provide early redemption opportunities for issuers and potential exit windows for investors. Beginning on January 25, 2027, and at each subsequent coupon observation date through June 25, 2029, the notes will automatically redeem if the closing level of every underlier is greater than or equal to its initial underlier level on that observation date. When automatic call occurs, investors receive $1,000 per $1,000 face amount plus any coupon payment due on the following call payment date.

This automatic call feature means that if all three market indices and the technology ETF maintain their July 24, 2026 trade-date levels throughout the note term, early redemption could occur as soon as January 28, 2027, just six months after the original issue date of July 29, 2026. The feature creates an asymmetric payoff structure where issuers can benefit from strong market performance by redeeming the notes early, while investors face downside risk if any single underlier declines more than 40% from its initial level.

Underlier Selection: Dow Jones, Russell 2000, and Technology Sector Focus

The notes link investor returns to three distinct market benchmarks: the Dow Jones Industrial Average, the Russell 2000 Index, and the State Street Technology Select Sector SPDR ETF. These three underliers represent different segments of the U.S. equity market, covering large-cap blue-chip stocks, small-cap equities, and technology sector exposure respectively. The Dow Jones Industrial Average tracks 30 of the largest U.S. companies, while the Russell 2000 captures approximately 2,000 small-cap stocks. The State Street Technology Select Sector SPDR ETF provides direct exposure to technology sector companies within the S&P 500.

The disclosure indicates that investor returns depend on the performance of the "lesser performing underlier," meaning the single worst-performing underlier determines the final payment at maturity if no automatic call occurs. This "worst-of" structure means investors face correlation risk across all three underliers and cannot benefit from outperformance of strong-performing indices if any single underlier lags. The note structure particularly emphasizes that the technology ETF link is based on the performance of the State Street product itself, not directly on the underlying index that the ETF tracks, introducing additional counterparty and fund management risk.

Pricing Valuation and Issuance Economics

The pricing supplement indicates that the estimated value of the notes on the trade date of July 24, 2026, is between $925 and $955 per $1,000 face amount, a discount to the 100% original issue price. This valuation gap reflects the economic cost of the embedded derivative features, including the contingent coupon structure, the automatic call feature, and the protection against downside movement below the 60% trigger buffer level. The filing discloses that the original issue price is 100% of face amount, though it notes that certain investors may receive a different price, with further details referenced in the supplemental plan of distribution section.

The company did not disclose the specific underwriting discount percentage or net proceeds to the issuer in the portions of the filing provided. The disclosure indicates that the original issue date is July 29, 2026, with a trade date of July 24, 2026, suggesting a standard five-business-day settlement for structured products. The notes are issued as part of GS Finance Corp.'s Medium-Term Notes, Series F program and carry a full and unconditional guarantee from The Goldman Sachs Group, Inc., which provides credit backing from the parent investment banking and financial services firm.

Monthly Coupon Payment Schedule and Observation Timeline

The notes establish a regular monthly coupon observation and payment schedule beginning in August 2026 and continuing through July 2029. The disclosure provides a detailed calendar showing coupon observation dates on the 24th or 25th of each month, with corresponding coupon payment dates occurring a few business days later. This schedule extends for 36 months, from the August 2026 coupon observation through the July 24, 2029 determination date. Each observation date represents a point at which the closing levels of all three underliers are evaluated against the 70% coupon trigger level to determine whether that month's contingent coupon is paid.

The call observation dates follow the same calendar as coupon observation dates but span from January 25, 2027, through June 25, 2029, with corresponding call payment dates occurring shortly after each observation date. This monthly observation frequency means that investors face 12 potential coupon evaluation points annually, creating significant exposure to market volatility and the probability that at least one month's coupon may be forfeited if any underlier temporarily dips below its trigger level. The determination date, set for July 24, 2029, represents the final evaluation date for calculating the final underlier level used in determining settlement value at maturity.

Risk Profile: Downside Exposure and Total Loss Scenarios

The notes expose investors to significant downside risk in multiple market scenarios. Most dramatically, if any of the three underliers declines more than 40% from its July 24, 2026 initial level, investors could sustain a loss of principal at maturity. For example, if the State Street Technology Select Sector SPDR ETF declines 50% while the Dow Jones and Russell 2000 remain flat, investors would lose 50% of their principal investment because the technology ETF represents the worst-performing underlier. The disclosure explicitly states that investors could lose their entire investment, which would occur if any underlier falls below zero, a theoretical but possible extreme scenario.

Beyond principal risk, the contingent coupon structure creates coupon forfeiture risk. If any single underlier closes below 70% of its initial level on a coupon observation date, investors receive zero coupon for that month, regardless of how the other two underliers perform. Given that the notes require all three underliers to remain above 70% of initial levels simultaneously, the probability of receiving the full monthly coupon payment decreases with each observation date. Additionally, if any underlier falls below 60% but above 0%, investors receive a proportionally reduced principal repayment at maturity equal to 100% plus the return of the worst-performing underlier, which could represent only partial capital recovery.

Guarantor Structure and Credit Considerations

The Goldman Sachs Group, Inc. provides a full and unconditional guarantee of all payments and obligations under the notes. This guarantee structure means that even if GS Finance Corp., the direct issuer, encounters financial difficulties, The Goldman Sachs Group has committed to standing behind all note obligations. The disclosure notes that the notes are not bank deposits and do not carry Federal Deposit Insurance Corporation protection, distinguishing them from traditional banking products and placing credit evaluation of Goldman Sachs itself as a critical consideration for investors assessing default risk.

The notes are structured as part of GS Finance Corp.'s Medium-Term Notes, Series F program, a established program indicating repeated use of similar issuance vehicles by the Goldman Sachs organization. The guarantee by the parent company reflects the structured product market convention where investment banking firms issue notes through special-purpose entities backed by the parent's credit. Investors must evaluate both the structural features of the notes and the creditworthiness of The Goldman Sachs Group, Inc., particularly given the extended three-year term and the multiple coupon observation dates where market conditions could affect interim cash flows.

Calculation Agent Role and Settlement Mechanics

Goldman Sachs & Co. LLC serves as the calculation agent responsible for determining underlier levels, calculating coupon amounts, evaluating automatic call conditions, and computing the final settlement amount at maturity. The calculation agent's determinations are binding under the terms of the notes, giving Goldman Sachs significant discretion in interpreting the mechanics of the product. The disclosure references adjustment provisions contained in the accompanying general terms supplement number 17,745 dated January 20, 2026, which governs how calculation agent determinations may be adjusted for extraordinary market events, index changes, or other disruptions.

The filing specifies CUSIP and ISIN identifiers (40054XSJ8 and US40054XSJ80 respectively) that allow market participants to track and trade the notes in the secondary market. The notes are subject to potential market-making activities by Goldman Sachs & Co. LLC or other Goldman Sachs affiliates following the initial sale, which could create liquidity but also introduces conflicts of interest if the market maker profits from wider bid-ask spreads or has interests divergent from those of note holders seeking to exit positions before maturity.

Prospectus Documentation and Terms Incorporation

The pricing supplement issued on July 20, 2026, constitutes only part of the complete prospectus governing the notes. The disclosure incorporates by reference several foundational documents including General Terms Supplement number 17,745 dated January 20, 2026, Underlier Supplement (ETFs) number 3 dated May 4, 2026, Underlier Supplement number 49 dated June 24, 2026, a prospectus supplement dated February 14, 2025, and the base prospectus dated February 14, 2025. The filing explicitly states that information in the pricing supplement supersedes any conflicting information in the referenced documents, but investors must review all documents to understand the complete terms applicable to their investment.

The company did not disclose in this pricing supplement the complete text of adjustment provisions, definitions of potential market disruptions, early termination scenarios, or certain other terms referenced in the accompanying general terms supplement and underlier supplements. The filing indicates that some terms or features described in the referenced documents may not apply to these specific notes, requiring investors to carefully reconcile the pricing supplement with the underlying documentation to understand which provisions govern this particular issuance. The prospectus represents an offer to sell only in circumstances and jurisdictions where such offer is lawful, with the preliminary nature of the pricing supplement indicating that final terms would be established on the trade date.